This work deals with the optimal control problem for Piecewise Deterministic Markov Processes (PDMP) under Partial Observation (PO).

The total expected discounted cost over lifetime shall be minimized while neither the states of the PDMP nor the current or cumulated cost are observable. Only noisy measurements (with known noise distribution) of the post-jump states are observable. The cost function, however, depends on the trajectory of the unobservable PDMP as well as on the observable noisy measurements of the post-jump states.

Admissible control strategies are history dependent relaxed piecewise open loop strategies: For each point in time and depending on the observable history up to this time, a probability distribution on the action space is selected. This probability distribution defines an expected control action on the jump rate, the drift and the transition kernel at jump times of the PDMP.

We first transform the initial continuous-time optimization problem under PO into an equivalent discrete-time optimization problem under PO. For the latter one, we obtain a recursive formulation for the filter: the probabilit ... mehr

The total expected discounted cost over lifetime shall be minimized while neither the states of the PDMP nor the current or cumulated cost are observable. Only noisy measurements (with known noise distribution) of the post-jump states are observable. The cost function, however, depends on the trajectory of the unobservable PDMP as well as on the observable noisy measurements of the post-jump states.

Admissible control strategies are history dependent relaxed piecewise open loop strategies: For each point in time and depending on the observable history up to this time, a probability distribution on the action space is selected. This probability distribution defines an expected control action on the jump rate, the drift and the transition kernel at jump times of the PDMP.

We first transform the initial continuous-time optimization problem under PO into an equivalent discrete-time optimization problem under PO. For the latter one, we obtain a recursive formulation for the filter: the probabilit ... mehr

Zugehörige Institution(en) am KIT |
Institut für Stochastik (STOCH) |

Publikationstyp |
Hochschulschrift |

Jahr |
2017 |

Sprache |
Englisch |

Identifikator |
URN: urn:nbn:de:swb:90-694487 KITopen-ID: 1000069448 |

Verlag |
Karlsruhe |

Umfang |
VIII, 158 S. |

Abschlussart |
Dissertation |

Fakultät |
Fakultät für Mathematik (MATH) |

Institut |
Institut für Stochastik (STOCH) |

Prüfungsdatum |
15.02.2017 |

Referent/Betreuer |
Prof. N. Bäuerle |

Schlagworte |
Piecewise Deterministic Markov Process, Partial Observation, Stochastic Dynamic Programming, Optimal Policy, Young Topology |

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